Financial contagion effects of major crises in African stock markets

Jaliyyah Bello, Jiaqi Guo and Mohammad Khaleq Newaz

International Review of Financial Analysis, 2022, vol. 82, issue C

Abstract: This study examines financial contagion effects in African stock markets during major crises over the period 2005 to 2020. We investigate contagion effects in individual stock markets and from a regional perspective using dynamic conditional correlations during the global financial crisis, European debt crisis, Brexit, and COVID-19. The empirical evidence confirms contagion effects in some individual markets. However, significant evidence of contagion is found only during the global financial crisis from the regional perspective. Our findings suggest that the regional impacts of crises differ due to the nature of those crises. We also find financial contagion increases in the country-level risk, market capitalization and export to GDP and decreases in corruption.

Keywords: Financial crisis; Contagion effect; African stock markets (search for similar items in EconPapers)
JEL-codes: F36 G15 G20 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:82:y:2022:i:c:s1057521922000965

DOI: 10.1016/j.irfa.2022.102128

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